Fractionally integrated processes of Ornstein-Uhlenbeck type
An estimation methodology to deal with fractionally integrated processes of Ornstein- Uhlenbeck type is proposed. The methodology is based on the continuous Whittle contrast. A simulation study is performed by driving this process with a symmetric CGMY background Lévy process.
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| Format: | Others |
| Language: | Español |
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Pontificia Universidad Católica del Perú
2014
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| Online Access: | http://revistas.pucp.edu.pe/index.php/promathematica/article/view/10250/10695 http://repositorio.pucp.edu.pe/index/handle/123456789/97091 |
| Summary: | An estimation methodology to deal with fractionally integrated processes of Ornstein- Uhlenbeck type is proposed. The methodology is based on the continuous Whittle contrast. A simulation study is performed by driving this process with a symmetric CGMY background Lévy process. |
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